Strategy - FX

Description

This extends the work of swhanly with a variation of accelerating dual momentum. However, here the use of regular currency and index funds for a diversified performance.

This strategy uses the following risk-on assets: FXA, FXB, FXC, FXE, FXF, FXY, CYB, SPY, QQQ. with UBT being the risk off haven.

It will buy only one risk on asset at a time.

Trading happens on the Close of the signal day

Details

    Metrics

    Metric Measure
    AccountName default
    NoOfTrades 57.00
    NoOfWins 37.00
    NoOfLosses 20.00
    SharpRatio 0.98
    SortinoRatio 1.21
    GrossProfit $58798.02
    FirstDate 2010-01-28
    LastDate 2022-01-31
    FirstEquity $10000.00
    FinalEquity $68798.02
    OpenEquity $0.00
    LongEquity $58798.02
    ShortEquity $0.00
    PercentWins 64.91%
    AveWin 9.26%
    AveLoss -3.32%
    AveWinLoss 2.79
    Expectancy 4.85%
    AveDrawUp 37.48%
    AveDrawDown -9.05%
    MaxDrawDown -20.45%
    Kelly 52.33%
    Thrope 94.69
    APR 17.42%
    CalmarRatio 1.93

    Trades

    Symbol Open Close Open Price Close Price Type Size Profit Balance Equity
    QQQ 2010-01-28 2010-01-29 $38.67 $38.00 Long 197.0 -1.75% 2378.00 9867.06
    SPY 2010-01-29 2010-02-26 $84.15 $86.77 Long 89.0 3.12% 2390.20 10100.67
    QQQ 2010-02-26 2010-06-30 $39.74 $38.04 Long 194.0 -4.30% 2298.86 9769.50
    UBT 2010-06-30 2010-07-30 $20.47 $20.08 Long 365.0 -1.88% 2294.96 9629.36
    FXY 2010-07-30 2010-08-31 $114.60 $117.83 Long 64.0 2.82% 2321.30 9836.08
    UBT 2010-08-31 2010-09-10 $23.56 $21.02 Long 319.0 -10.76% 9027.28 9027.28
    UBT 2010-09-29 2010-09-30 $22.35 $22.31 Long 308.0 -0.17% 2193.61 9015.38
    FXA 2010-09-30 2010-10-29 $82.19 $83.53 Long 83.0 1.64% 2243.17 9126.97
    FXY 2010-10-29 2010-11-30 $122.93 $118.16 Long 56.0 -3.88% 2118.37 8860.13
    QQQ 2010-11-30 2011-03-31 $46.49 $51.44 Long 145.0 10.64% 2342.60 9577.26
    SPY 2011-03-31 2011-04-29 $106.39 $109.47 Long 68.0 2.90% 2352.86 9786.78
    FXA 2011-04-29 2011-05-31 $95.31 $93.12 Long 78.0 -2.29% 2303.19 9616.23
    FXF 2011-05-31 2011-07-29 $116.08 $125.79 Long 63.0 8.36% 2404.03 10227.96
    UBT 2011-07-29 2011-10-14 $20.27 $27.46 Long 386.0 35.49% 13004.90 13004.90
    UBT 2011-10-28 2012-01-31 $26.18 $30.96 Long 379.0 18.25% 3513.78 14815.67
    QQQ 2012-01-31 2012-09-28 $54.60 $62.27 Long 207.0 14.06% 3890.20 16404.40
    SPY 2012-09-28 2013-07-31 $119.18 $142.03 Long 105.0 19.17% 4470.24 18803.81
    QQQ 2013-07-31 2014-03-31 $69.58 $81.53 Long 206.0 17.17% 5127.90 21264.90
    SPY 2014-03-31 2014-05-30 $159.77 $164.62 Long 101.0 3.03% 5138.24 21754.16
    UBT 2014-05-30 2014-06-30 $29.88 $29.71 Long 556.0 -0.57% 5109.96 21659.71
    QQQ 2014-06-30 2014-07-31 $87.56 $88.60 Long 189.0 1.18% 5151.95 21855.32
    UBT 2014-07-31 2014-08-29 $30.15 $32.78 Long 554.0 8.72% 5540.74 23311.02
    QQQ 2014-08-29 2014-09-30 $93.04 $92.33 Long 191.0 -0.76% 5468.68 23176.56
    UBT 2014-09-30 2014-10-31 $31.51 $33.32 Long 562.0 5.76% 5715.36 24196.20
    QQQ 2014-10-31 2015-06-30 $94.77 $100.91 Long 195.0 6.47% 6068.59 25392.13
    FXF 2015-06-30 2015-07-31 $103.89 $100.46 Long 186.0 -3.30% 24754.13 24754.13
    UBT 2015-08-31 2016-03-31 $35.24 $41.26 Long 537.0 17.10% 6622.84 27989.05
    FXA 2016-03-31 2016-04-29 $74.45 $73.88 Long 287.0 -0.75% 6550.15 27827.77
    FXY 2016-04-29 2016-06-30 $90.93 $93.58 Long 234.0 2.91% 6703.09 28447.87
    UBT 2016-06-30 2016-07-29 $46.56 $48.58 Long 467.0 4.34% 6945.87 29392.14
    FXY 2016-07-29 2016-08-31 $94.71 $93.35 Long 237.0 -1.44% 6874.73 29069.82
    QQQ 2016-08-31 2016-11-30 $110.98 $112.27 Long 200.0 1.16% 6940.90 29327.98
    SPY 2016-11-30 2016-12-30 $198.12 $202.13 Long 113.0 2.03% 7074.35 29782.06
    QQQ 2016-12-30 2017-08-31 $113.54 $140.78 Long 200.0 23.99% 8286.27 35230.09
    UBT 2017-08-31 2017-09-29 $40.64 $38.69 Long 663.0 -4.79% 8111.20 33938.14
    QQQ 2017-09-29 2017-11-30 $140.36 $149.72 Long 184.0 6.67% 8437.79 35660.53
    SPY 2017-11-30 2017-12-29 $243.06 $246.00 Long 112.0 1.21% 8575.74 35989.56
    QQQ 2017-12-29 2018-04-30 $150.63 $155.89 Long 182.0 3.50% 8702.58 36948.13
    CYB 2018-04-30 2018-05-31 $24.69 $24.40 Long 1144.0 -1.17% 8611.46 36616.56
    QQQ 2018-05-31 2018-10-31 $164.74 $165.14 Long 170.0 0.25% 36685.59 36685.59
    UBT 2018-11-30 2019-06-28 $33.62 $45.17 Long 834.0 34.38% 11032.17 46324.53
    QQQ 2019-06-28 2019-07-31 $182.86 $187.13 Long 193.0 2.33% 11115.19 47148.54
    UBT 2019-07-31 2019-11-07 $45.27 $47.11 Long 796.0 4.07% 48614.00 48614.00
    UBT 2019-11-27 2019-11-29 $50.64 $50.39 Long 734.0 -0.49% 11402.59 48431.80
    QQQ 2019-11-29 2020-01-31 $201.25 $215.42 Long 184.0 7.04% 11996.18 51039.43
    UBT 2020-01-31 2020-03-10 $54.45 $65.42 Long 717.0 20.14% 58903.88 58903.88
    UBT 2020-03-30 2020-06-04 $69.06 $61.70 Long 652.0 -10.66% 54101.90 54101.90
    UBT 2020-06-29 2020-06-30 $67.31 $66.78 Long 614.0 -0.79% 12712.60 53773.41
    QQQ 2020-06-30 2021-02-26 $244.41 $311.11 Long 168.0 27.29% 15632.86 64978.49
    SPY 2021-02-26 2021-06-30 $371.02 $420.31 Long 133.0 13.28% 16997.44 71533.75
    QQQ 2021-06-30 2021-07-30 $351.85 $361.91 Long 155.0 2.86% 17550.70 73094.00
    SPY 2021-07-30 2021-08-31 $430.57 $443.38 Long 129.0 2.98% 17792.59 74746.96
    QQQ 2021-08-31 2021-09-30 $377.18 $355.75 Long 151.0 -5.68% 16806.85 71511.40
    UBT 2021-09-30 2021-10-29 $52.05 $54.39 Long 1051.0 4.50% 17562.40 73970.74
    QQQ 2021-10-29 2021-11-30 $383.73 $391.39 Long 147.0 2.00% 17672.50 75097.12
    UBT 2021-11-30 2022-01-04 $57.31 $51.45 Long 1002.0 -10.23% 69223.60 69223.60
    UBT 2022-01-28 2022-01-31 $51.00 $50.59 Long 1038.0 -0.80% 68798.02 68798.02

    Signals

    Strategy Ratio Size Ticker Date State Type Profit Tick
    FX 0.90 0.00 Out EOM
    momentum  FXA  FXB  FXC  FXE  FXF  FXY  CYB  SPY  QQQ  UBT